Creating a custom menu of active grease pencil palette colors via Python Script (Blender 2.79b)
Here is the probable solution (but it gives an Anytype error)

import bpy
from bpy.types import Menu

class GPcolorsMenu(bpy.types.Menu):
    bl_label = "GPcolors"
    bl_idname = "gpencil.GPcolorSwitch"

    def draw(self, context):
        layout = self.layout

        #display active palette 
        palette = bpy.context.scene.grease_pencil.palettes.active
        row = layout.row(align=True)
        row.label(palette.name, icon_value=layout.icon(palette))

        col = layout.column(align=True)
        col.separator()

        #display GPcolor [keys()] for switching in a menu 

        key = bpy.context.scene.grease_pencil.palettes.active.colors.keys()
        for i in key:
            row = layout.row(align=True)
            row.prop(i,'name',text='')


def register():
    bpy.utils.register_class(GPcolorsMenu)


def unregister():
    bpy.utils.unregister_class(GPcolorsMenu)

if __name__ == "__main__":
    register()


    bpy.ops.wm.call_menu(name=GPcolorsMenu.bl_idname)